calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market … distributions have di.erent moment properties at their right and left tails. Therefore, risk and reward are not equally likely in …

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on … collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor … money. Nonetheless, only those at risk of losing money changed their behavior markedly - they lent with much higher haircuts …

This paper examines the impact of bank heterogeneity on the assessment of systemic risk in the context of the German … banking sector. Precisely, it is questioned whether currently employed systemic risk indicators are able to account for banks …' heterogeneity and to signal systemic risk reliably regardless of different bank types' individual characteristics. For the …

We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To … collateral value are correlated. We provide several applications to portfolio credit andcollateral risk management.[...] …

We examine the quantification of operational risk for banks. We adopt a financial-economics approach and interpret … operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining … operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …

Like many financial contracts, derivatives are subject to default risk. A very popular mechanism in derivatives markets … to mitigate the risk of non-performance on contracts is margining. By attaching collateral to a contract, margining … supposedly reduces default risk. The broader impacts of the different types of margins are more ambiguous, however. In this paper …